Yep. I set it to bulb mode, which holds the shutter open for one long, continuous exposure. I use a remote shutter switch on a cable that has a lock on it to hold the shutter button down so I don't bump the camera in pressing or holding the shutter button. If you try holding the normal shutter button down, you'll get vibrations, I guarantee it (plus it's harder to fly with just one hand). You can also set the camera for a timed exposure if your camera doesn't have bulb mode.

If you're interested in some of the other camera settings, such as ISO and aperture and length of shutter open, I used to record all those stats on some of the earlier pictures I posted to DWA's sky painting thread -- specifically posts 6, 9, and 12. Now I've gotten lazy and don't do it any more. But play around with the different settings, especially aperture, and you'll get a variety of results.